Results run-up long straddle
Implied volatility in a stock's options often rises in the days before its quarterly results, because traders pay up for protection against the announcement. This strategy tries to earn that rise without holding through the result itself. It buys the at-the-money straddle on RELIANCE five trading days before the results date and sells it on the session before, so the announcement move and the volatility crush that follows are both avoided.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
With one trade per quarterly result, the year produced just four trades, far too few to say which conditions suit it. For what it shows: the two trades entered after India VIX closed below 11.5 lost ₹2,850 together, while the two held through a quiet market, with NIFTY moving less than 1% while held, made ₹2,025. That fits how the trade works: a long straddle held for a few days needs implied volatility to rise faster than time decay eats the premium, and in calm conditions the expected run-up may not be strong enough. A wider test across many F&O stocks would be needed to judge it.
About this strategy
- Use the stock's board-meeting date for results. Five trading days before it, at 15:15, consider an entry.
- Skip the trade if the stock is in the F&O ban period, if either option lacks a quote, or if the straddle's bid-ask spread is 2% of its mid price or more.
- Buy one lot each of the ATM call and ATM put of the first monthly expiry that falls after the results date.
- Hold the straddle; there is no stop by default.
- Sell both legs at 15:20 on the trading day before the results date, before any announcement can hit.
- One trade per results event, with no re-entry.
Why traders use it
Ahead of a scheduled event, option buyers bid up implied volatility, so a straddle can gain value even if the stock barely moves. Selling before the event sidesteps the sharp IV crush that usually follows a result. It is a long-volatility trade with a defined maximum loss (the premium paid), which appeals to traders who prefer buying options over selling them. The idea is well documented in other markets, and Indian traders apply it to liquid F&O stocks.
The year in plain words
On RELIANCE from 1 Oct 2025 to 30 Sep 2026, the strategy took one trade per quarterly result, four in all. Two won and two lost, for a net loss of ₹825 before costs and a profit factor of 0.71. The October and January trades lost ₹1,625 and ₹1,225, while April and July made ₹675 and ₹1,350. Every trade was closed the day before the result, as designed. After ₹20 per order and bid-ask slippage the loss grows to ₹1,745. Four trades are far too few to judge whether the run-up effect exists on this stock.
What the settings do
Risks
- Long options lose time value every day, so a flat stock with flat IV is a slow loss.
- With only four trades a year on one stock, results are dominated by chance.
- Stock options are less liquid than index options, and wide spreads can eat much of the expected gain.
- If a results date changes or is announced late, the trade may enter or exit at the wrong time.
Who it suits
Traders who prefer defined-risk option buying, follow corporate results calendars, and are willing to run the same rules across many liquid F&O stocks to build a meaningful sample.
Questions traders ask
What is the IV run-up before results?
In the days before a company announces results, demand for its options rises because nobody knows how the stock will react. That demand lifts implied volatility, which makes options more expensive even without a price move. After the announcement, IV usually drops sharply.
Why sell the straddle before the result is announced?
Holding through the result means betting on a large move. If the move is smaller than expected, the IV crush can wipe out much of the straddle's value overnight. Exiting the day before aims to collect only the rise in volatility, not the outcome.
Is the pre-results long straddle profitable on RELIANCE?
Over 1 Oct 2025 to 30 Sep 2026 it lost ₹825 before costs and ₹1,745 after ₹20 per order and bid-ask slippage, across just four trades. That sample is far too small to conclude anything, and past results do not guarantee future ones.
Which expiry does the strategy buy?
Stock options on NSE have monthly expiries only. The strategy buys the first monthly expiry that falls after the results date, so the options are still alive when the trade is closed.